[R-SIG-Finance] Appropriate lag length in VAR/VECM

Arun.stat arun.kumar.saha at gmail.com
Fri Apr 2 08:48:40 CEST 2010

Dear Kaushik, detailed procedures for selection of the lag-length of any VAR
family of models is explicitly discussed (with underlying theory) in
Lutkepohl-2006. You may wish to visit www.jmulti.de to find more details.
View this message in context: http://n4.nabble.com/Appropriate-lag-length-in-VAR-VECM-tp1748322p1748863.html
Sent from the Rmetrics mailing list archive at Nabble.com.

More information about the R-SIG-Finance mailing list